1.1 Construct Frequency Data

customer_summarystats_tbl <- customer_transactions_tbl %>%
  calculate_transaction_summary_stats()

customer_summarystats_tbl %>% glimpse()

## Rows: 50,000
## Columns: 9
## $ customer_id  <chr> "0010G0VY0J", "00127H7D5N", "0019QVYV9S", "001YCS74VX", "…
## $ tnx_count    <int> 6, 6, 14, 6, 50, 77, 25, 4, 11, 4, 26, 9, 8, 5, 1, 3, 7, …
## $ first_tnx_ts <dttm> 2019-01-01 23:31:04, 2019-01-01 14:58:53, 2019-01-01 08:…
## $ last_tnx_ts  <dttm> 2019-09-23 00:10:59, 2019-11-04 00:44:13, 2019-12-25 23:…
## $ btyd_count   <dbl> 5, 5, 13, 5, 49, 76, 24, 3, 10, 3, 25, 8, 7, 4, 0, 2, 6, …
## $ all_weeks    <dbl> 52, 52, 52, 52, 52, 52, 52, 52, 52, 52, 52, 52, 52, 52, 5…
## $ tnx_weeks    <dbl> 37.71825, 43.77235, 51.23203, 13.76003, 50.62822, 50.3100…
## $ obs_freq     <dbl> 0.13256184, 0.11422735, 0.25374752, 0.36337141, 0.9678396…
## $ emp_freq     <dbl> 0.09615385, 0.09615385, 0.25000000, 0.09615385, 0.9423076…

We want to view the transactions to get a sense of how regular our transactions are in general.

plot_tbl <- customer_transactions_tbl %>%
  group_nest(customer_id, .key = "cust_data") %>%
  filter(map_int(cust_data, nrow) > 3) %>%
  slice_sample(n = 30) %>%
  unnest(cust_data)

ggplot(plot_tbl, aes(x = tnx_timestamp, y = customer_id)) +
  geom_line() +
  geom_point() +
  labs(
    x = "Date",
    y = "Customer ID",
    title = "Visualisation of Customer Transaction Times"
    ) +
  theme(axis.text.y = element_text(size = 10))

1.2 Construct Data Subsets

For the purposes of saving on time and computation, we construct a subset of the data first, and rather than constructing different samples each time we instead construct sets of customer_id to draw upon, then using those list of values when we want to take a subset.

We do this by randomly shuffling the data and then selecting the top \(n\) values of customer_id.

shuffle_tbl <- customer_summarystats_tbl %>%
  slice_sample(n = nrow(.), replace = FALSE)

id_1000  <- shuffle_tbl %>% head(1000)  %>% pull(customer_id) %>% sort()
id_5000  <- shuffle_tbl %>% head(5000)  %>% pull(customer_id) %>% sort()
id_10000 <- shuffle_tbl %>% head(10000) %>% pull(customer_id) %>% sort()

We now have a list of customer_id values we use to subset the data.

2.1 Statistical Inference on Frequency Rates

Suppose we have new customer join our website and observe a number of transactions from that customer over the following year. For now, we ignore churn and assume the customer was an active customer for that whole year.

How do we combine our prior knowledge and observed transactions to perform inference on that customers transaction rate?

From the above section, we see that calculating the posterior distribution for \(\lambda\) is simple, so we now investigate the consequences of this by looking at how different sets of observations and priors combine.

2.2 Initial Examples

In terms of our prior distribution, we set our prior based on average expectations of the population of interest. Suppose the average customer transacts on our site once a month, or once every four weeks.

Since we are using weekly time periods as our reference point, this means that if we were calculating a point estimate it would be 0.25.

For the purposes of Bayesian analysis though, this is insufficient - we need a distribution for \(\lambda\) that captures our prior knowledge.

Narrowing down to a Gamma distribution, the mean for our Gamma is

\[ \bar{x} = \frac{r}{\alpha}. \]

So now we look at a few different parameter combinations with this mean.

x_vals <- seq(0.01, 1, by = 0.001)

y1_vals <- dgamma(x_vals, shape =  0.1, rate =  0.4)
y2_vals <- dgamma(x_vals, shape =  1.0, rate =  4.0)
y3_vals <- dgamma(x_vals, shape =  2.0, rate =  8.0)
y4_vals <- dgamma(x_vals, shape = 10.0, rate = 40.0)

plot_tbl <- tibble(
    x  =  x_vals,
    `Gamma(0.1, 0.4)` = y1_vals,
    `Gamma(1, 4)`     = y2_vals,
    `Gamma(2, 8)`     = y3_vals,
    `Gamma(10, 40)`   = y4_vals
    ) %>%
  pivot_longer(
    !x,
    names_to  = "label",
    values_to = "dens"
    )

ggplot(plot_tbl) +
  geom_line(aes(x = x, y = dens, colour = label)) +
  labs(
    x = "Value",
    y = "Density",
    title = "Comparison Density Plot for Gamma"
    )

So we now look at the effect of priors when combined with observed data.

Suppose over the period of a year a customer transacts 13 times in the year - this is fully consistent with the prior mean.

x_vals <- seq(0.01, 1, by = 0.001)

prior_1_4_dens <- dgamma(x_vals, shape = 1,      rate = 4)
post_1_4_dens  <- dgamma(x_vals, shape = 1 + 13, rate = 4 + 52)

ggplot() +
  geom_line(aes(x = x_vals, y = prior_1_4_dens), colour = "black") +
  geom_line(aes(x = x_vals, y = post_1_4_dens),  colour = "red") +
  labs(
    x = "Value",
    y = "Density",
    title = "Prior and Posterior Comparison with Gamma(1, 4) Prior"
    )

We now construct a similar comparison with a stronger prior on \(\lambda\).

x_vals <- seq(0.01, 1, by = 0.001)

prior_5_20_dens <- dgamma(x_vals, shape = 5,      rate = 20)
post_5_20_dens  <- dgamma(x_vals, shape = 5 + 13, rate = 20 + 52)

ggplot() +
  geom_line(aes(x = x_vals, y = prior_5_20_dens), colour = "black") +
  geom_line(aes(x = x_vals, y = post_5_20_dens),  colour = "red") +
  labs(
    x = "Value",
    y = "Density",
    title = "Prior and Posterior Comparison with Gamma(5, 20) Prior"
    )

It might be more useful to compare the two posteriors directly - both are based on the same observed data.

ggplot() +
  geom_line(aes(x = x_vals, y = post_1_4_dens),  colour = "black") +
  geom_line(aes(x = x_vals, y = post_5_20_dens), colour = "red") +
  labs(
    x = "Value",
    y = "Density",
    title = "Comparison of Posterior Densities Based on 13 Observed Events"
    )

2.3 Prior and Data Mismatch

It is worth exploring how the prior and data interact when the disagree.

We use a few Gamma priors with a mean value of 0.5 and the same data (13 events in 52 weeks) and see what the effect is.

x_vals <- seq(0.01, 1, by = 0.001)

prior_1_2_dens <- dgamma(x_vals, shape = 1,      rate = 2)
post_1_2_dens  <- dgamma(x_vals, shape = 1 + 13, rate = 2 + 52)

ggplot() +
  geom_line(aes(x = x_vals, y = prior_1_4_dens), colour = "black") +
  geom_line(aes(x = x_vals, y = post_1_4_dens),  colour = "red") +
  labs(
    x = "Value",
    y = "Density",
    title = "Prior and Posterior Comparison with Gamma(1, 2) Prior"
    )

We try a tighter prior around the value (though the weighting is still in favour of the data)

x_vals <- seq(0.01, 1, by = 0.001)

prior_5_10_dens <- dgamma(x_vals, shape = 5,      rate = 10)
post_5_10_dens  <- dgamma(x_vals, shape = 5 + 13, rate = 10 + 52)

ggplot() +
  geom_line(aes(x = x_vals, y = prior_5_10_dens), colour = "black") +
  geom_line(aes(x = x_vals, y = post_5_10_dens),  colour = "red") +
  labs(
    x = "Value",
    y = "Density",
    title = "Prior and Posterior Comparison with Gamma(5, 10) Prior"
    )

We also want to try this with a prior that is “stronger” than the data.

x_vals <- seq(0.01, 1, by = 0.001)

prior_50_100_dens <- dgamma(x_vals, shape = 50,      rate = 100)
post_50_100_dens  <- dgamma(x_vals, shape = 50 + 13, rate = 100 + 52)

ggplot() +
  geom_line(aes(x = x_vals, y = prior_50_100_dens), colour = "black") +
  geom_line(aes(x = x_vals, y = post_50_100_dens),  colour = "red") +
  labs(
    x = "Value",
    y = "Density",
    title = "Prior and Posterior Comparison with Gamma(50, 100) Prior"
    )

We finally want to check what happens with a very weak prior in the wrong location.

x_vals <- seq(0.01, 1, by = 0.001)

prior_1_1_dens <- dgamma(x_vals, shape = 1,      rate = 1)
post_1_1_dens  <- dgamma(x_vals, shape = 1 + 13, rate = 1 + 52)

ggplot() +
  geom_line(aes(x = x_vals, y = prior_1_1_dens), colour = "black") +
  geom_line(aes(x = x_vals, y = post_1_1_dens),  colour = "red") +
  labs(
    x = "Value",
    y = "Density",
    title = "Prior and Posterior Comparison with Gamma(1, 1) Prior"
    )

3.1 Fit Stan Model

We start by fitting our first Stan model, fitting a Poisson rate for each individual customer.

## data {
##   int<lower=1> n;                   // count of observations
## 
##   array[n] int<lower=0> btyd_count; // observed number of transactions
##   vector<lower=0>[n]    tnx_weeks;  // observed time-period of transactions
## }
## 
## parameters {
##   vector<lower=0>[n] lambda;
## }
## 
## model {
##   target += poisson_lpmf(btyd_count | lambda .* tnx_weeks);
## }
## 
## generated quantities {
##   vector[n] log_lik;
## 
##   for (i in 1:n) {
##     log_lik[i] = poisson_lpmf(btyd_count[i] | lambda[i] * tnx_weeks[i]);
##   }
## }

We now compile this model using CmdStanR.

freqmodel_flat_stanmodel <- cmdstan_model(
  "stan_code/freqmodel_flat.stan",
  include_paths =   stan_codedir,
  pedantic      =           TRUE,
  dir           =  stan_modeldir
  )

We then use this compiled model with our data to produce a fit of the data.

stan_modelname <- "freqmodel_flat"
stanfit_prefix <- str_c("fit_", stan_modelname) 

stan_data_lst <- fit_1000_data_tbl %>%
  select(customer_id, btyd_count, tnx_weeks = all_weeks) %>%
  compose_data()

freqmodel_flat_stanfit <- freqmodel_flat_stanmodel$sample(
  data            =                stan_data_lst,
  chains          =                            4,
  iter_warmup     =                          500,
  iter_sampling   =                          500,
  seed            =                         4201,
  save_warmup     =                         TRUE,
  output_dir      =                stan_modeldir,
  output_basename =               stanfit_prefix,
  )

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freqmodel_flat_stanfit$summary()

## # A tibble: 2,001 × 10
##    variable       mean   median      sd     mad       q5      q95  rhat ess_bulk
##    <chr>         <dbl>    <dbl>   <dbl>   <dbl>    <dbl>    <dbl> <dbl>    <dbl>
##  1 lp__       -4.30e+3 -4.30e+3 23.2    23.1    -4.34e+3 -4.27e+3 1.00      623.
##  2 lambda[1]   3.86e-2  3.19e-2  0.0269  0.0230  7.19e-3  9.02e-2 1.00     2056.
##  3 lambda[2]   5.74e-2  5.07e-2  0.0338  0.0308  1.65e-2  1.24e-1 1.00     2031.
##  4 lambda[3]   5.88e-2  5.33e-2  0.0332  0.0318  1.74e-2  1.22e-1 1.00     2694.
##  5 lambda[4]   5.37e-1  5.32e-1  0.101   0.103   3.82e-1  7.15e-1 1.00     2518.
##  6 lambda[5]   2.11e-1  2.04e-1  0.0640  0.0628  1.18e-1  3.30e-1 0.999    2357.
##  7 lambda[6]   2.33e-1  2.27e-1  0.0682  0.0662  1.29e-1  3.55e-1 1.00     2764.
##  8 lambda[7]   5.19e-1  5.11e-1  0.105   0.107   3.66e-1  7.03e-1 1.00     2570.
##  9 lambda[8]   3.26e-1  3.19e-1  0.0810  0.0792  2.05e-1  4.65e-1 1.00     2433.
## 10 lambda[9]   7.73e-2  7.11e-2  0.0384  0.0356  2.65e-2  1.49e-1 1.00     2389.
## # … with 1,991 more rows, and 1 more variable: ess_tail <dbl>

We first want to check the HMC diagnostics.

freqmodel_flat_stanfit$cmdstan_diagnose()

## Processing csv files: /home/rstudio/workshop/stan_models/fit_freqmodel_flat-1.csvWarning: non-fatal error reading adaptation data
## , /home/rstudio/workshop/stan_models/fit_freqmodel_flat-2.csvWarning: non-fatal error reading adaptation data
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## , /home/rstudio/workshop/stan_models/fit_freqmodel_flat-4.csvWarning: non-fatal error reading adaptation data
## 
## 
## Checking sampler transitions treedepth.
## Treedepth satisfactory for all transitions.
## 
## Checking sampler transitions for divergences.
## No divergent transitions found.
## 
## Checking E-BFMI - sampler transitions HMC potential energy.
## E-BFMI satisfactory.
## 
## Effective sample size satisfactory.
## 
## Split R-hat values satisfactory all parameters.
## 
## Processing complete, no problems detected.

parameter_subset <- c(
  "lambda[1]", "lambda[2]", "lambda[3]", "lambda[4]", "lambda[5]", "lambda[6]"
  )

freqmodel_flat_stanfit$draws(inc_warmup = TRUE) %>%
  mcmc_trace(
    pars     = parameter_subset,
    n_warmup = 500
    ) +
  ggtitle("Full Traceplots of Some Lambda Values")

parameter_subset <- c(
  "lambda[1]", "lambda[2]", "lambda[3]", "lambda[4]", "lambda[5]", "lambda[6]"
  )

freqmodel_flat_stanfit$draws(inc_warmup = FALSE) %>%
  mcmc_trace(
    pars     = parameter_subset
    ) +
  expand_limits(y = 0) +
  labs(
    x = "Iteration",
    y = "Value",
    title = "Traceplot of Sample of Lambda Values"
    ) +
  theme(axis.text.x = element_text(size = 10))

freqmodel_flat_stanfit %>%
  rhat(pars = "lambda") %>%
  mcmc_rhat() +
    ggtitle("Plot of Parameter R-hat Values")

freqmodel_flat_stanfit %>%
  neff_ratio(pars = "lambda") %>%
  mcmc_neff() +
    ggtitle("Plot of Parameter Effective Sample Sizes")

freqmodel_flat_stanfit$draws() %>%
  mcmc_acf(pars = parameter_subset) +
    ggtitle("Autocorrelation Plot of Sample Lambda Values")

3.2 Check Model Fit

We now need to check the parameters of this fit against the data to see how effective our model is at capturing the data. In this case we have the benefit of knowing the ‘true’ data, and so we compare our model output against the input parameters.

freqmodel_flat_validation_tbl <- freqmodel_flat_stanfit %>%
  recover_types(fit_1000_data_tbl) %>%
  spread_draws(lambda[customer_id]) %>%
  ungroup() %>%
  inner_join(customer_simparams_tbl, by = "customer_id") %>%
  select(customer_id, draw_id = .draw, post_lambda = lambda, customer_lambda)

freqmodel_flat_validation_tbl %>% glimpse()

## Rows: 2,000,000
## Columns: 4
## $ customer_id     <chr> "00JP8DATDZ", "00JP8DATDZ", "00JP8DATDZ", "00JP8DATDZ"…
## $ draw_id         <int> 1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16,…
## $ post_lambda     <dbl> 0.03152330, 0.01923300, 0.06058230, 0.03693450, 0.0235…
## $ customer_lambda <dbl> 0.01822481, 0.01822481, 0.01822481, 0.01822481, 0.0182…

Having constructed the validation data we now want to check the quantile of each ‘true’ value in the posterior distribution for the parameter. If our model is valid, this distribution will be uniform on \([0, 1]\).

plotvalid_tbl <- freqmodel_flat_validation_tbl %>%
  calculate_distribution_qvals(post_lambda, customer_lambda)

ggplot(plotvalid_tbl) +
  geom_histogram(aes(x = q_val), bins = 50) +
  geom_hline(aes(yintercept = plotvalid_tbl %>% nrow() %>% divide_by(50)), colour = "red") +
  labs(
    x = "Quantile",
    y = "Count",
    title = "Quantile Plot of the q-Values for the Posterior Distribution"
    )

ggplot(plotvalid_tbl) +
  geom_point(aes(x = q_val, y = customer_lambda)) +
  labs(
    x = "Quantile",
    y = "Customer Lambda",
    title = "Scatterplot of q-Value against Lambda"
    )

3.3 Fit Larger Model

We now repeat this model with a larger dataset.

stan_modelname <- "freqmodel_flat_10k"
stanfit_prefix <- str_c("fit_", stan_modelname) 

stan_data_lst <- fit_10000_data_tbl %>%
  select(customer_id, btyd_count, tnx_weeks = all_weeks) %>%
  compose_data()

freqmodel_flat_10k_stanfit <- freqmodel_flat_stanmodel$sample(
  data            =                stan_data_lst,
  chains          =                            4,
  iter_warmup     =                          500,
  iter_sampling   =                          500,
  seed            =                         4202,
  output_dir      =                stan_modeldir,
  output_basename =               stanfit_prefix
  )

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freqmodel_flat_10k_stanfit$summary()

## # A tibble: 20,001 × 10
##    variable       mean   median      sd     mad       q5      q95  rhat ess_bulk
##    <chr>         <dbl>    <dbl>   <dbl>   <dbl>    <dbl>    <dbl> <dbl>    <dbl>
##  1 lp__       -4.31e+4 -4.31e+4 70.9    70.1    -4.32e+4 -4.30e+4  1.00     569.
##  2 lambda[1]   1.16e-1  1.11e-1  0.0464  0.0433  5.00e-2  2.01e-1  1.00    2728.
##  3 lambda[2]   1.14e-1  1.08e-1  0.0455  0.0448  5.17e-2  1.99e-1  1.00    3480.
##  4 lambda[3]   1.48e+0  1.47e+0  0.163   0.158   1.22e+0  1.77e+0  1.01    3725.
##  5 lambda[4]   1.91e-2  1.31e-2  0.0189  0.0137  9.50e-4  5.62e-2  1.00    2402.
##  6 lambda[5]   1.52e-1  1.46e-1  0.0549  0.0541  7.52e-2  2.55e-1  1.00    2418.
##  7 lambda[6]   3.84e-2  3.16e-2  0.0275  0.0227  7.49e-3  9.02e-2  1.00    3123.
##  8 lambda[7]   9.20e-1  9.12e-1  0.135   0.136   7.10e-1  1.16e+0  1.00    2913.
##  9 lambda[8]   5.20e-1  5.13e-1  0.102   0.102   3.64e-1  7.00e-1  1.00    4974.
## 10 lambda[9]   5.67e-2  4.95e-2  0.0330  0.0301  1.56e-2  1.19e-1  1.00    2072.
## # … with 19,991 more rows, and 1 more variable: ess_tail <dbl>

We first want to check the HMC diagnostics.

freqmodel_flat_10k_stanfit$cmdstan_diagnose()

## Processing csv files: /home/rstudio/workshop/stan_models/fit_freqmodel_flat_10k-1.csv, /home/rstudio/workshop/stan_models/fit_freqmodel_flat_10k-2.csv, /home/rstudio/workshop/stan_models/fit_freqmodel_flat_10k-3.csv, /home/rstudio/workshop/stan_models/fit_freqmodel_flat_10k-4.csv
## 
## Checking sampler transitions treedepth.
## Treedepth satisfactory for all transitions.
## 
## Checking sampler transitions for divergences.
## No divergent transitions found.
## 
## Checking E-BFMI - sampler transitions HMC potential energy.
## E-BFMI satisfactory.
## 
## Effective sample size satisfactory.
## 
## Split R-hat values satisfactory all parameters.
## 
## Processing complete, no problems detected.

3.4 Check Larger Model Fit

We now repeat the validation exercise once more, extracting the posterior customer \(\lambda\) values and comparing them to our input values.

freqmodel_flat_10k_validation_tbl <- freqmodel_flat_10k_stanfit %>%
  recover_types(fit_10000_data_tbl) %>%
  spread_draws(lambda[customer_id]) %>%
  ungroup() %>%
  inner_join(customer_simparams_tbl, by = "customer_id") %>%
  select(customer_id, draw_id = .draw, post_lambda = lambda, customer_lambda)

freqmodel_flat_10k_validation_tbl %>% glimpse()

## Rows: 20,000,000
## Columns: 4
## $ customer_id     <chr> "0010G0VY0J", "0010G0VY0J", "0010G0VY0J", "0010G0VY0J"…
## $ draw_id         <int> 1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16,…
## $ post_lambda     <dbl> 0.1198230, 0.1016800, 0.1271920, 0.1051370, 0.0854725,…
## $ customer_lambda <dbl> 0.2207705, 0.2207705, 0.2207705, 0.2207705, 0.2207705,…

We also construct validation plots for this.

plotvalid_tbl <- freqmodel_flat_10k_validation_tbl %>%
  calculate_distribution_qvals(post_lambda, customer_lambda)

ggplot(plotvalid_tbl) +
  geom_histogram(aes(x = q_val), bins = 50) +
  geom_hline(aes(yintercept = plotvalid_tbl %>% nrow() %>% divide_by(50)), colour = "red") +
  labs(
    x = "Quantile",
    y = "Count",
    title = "Quantile Plot of the q-Values for the Posterior Distribution"
    )

ggplot(plotvalid_tbl) +
  geom_point(aes(x = q_val, y = customer_lambda), alpha = 0.2) +
  labs(
    x = "Quantile",
    y = "Customer Lambda",
    title = "Scatterplot of q-Value against Lambda"
    )

3.5 Construct Observed-Time Frequency Model

We now want to update our approach to use the observed duration of the transactions rather than using a constant time period of 52 weeks.

stan_modelname <- "freqmodel_flat_obs"
stanfit_prefix <- str_c("fit_", stan_modelname) 

stan_data_lst <- fit_1000_data_tbl %>%
  transmute(customer_id, btyd_count, tnx_weeks) %>%
  compose_data()

freqmodel_flat_obs_stanfit <- freqmodel_flat_stanmodel$sample(
  data            =                stan_data_lst,
  chains          =                            4,
  iter_warmup     =                          500,
  iter_sampling   =                          500,
  seed            =                         4203,
  output_dir      =                stan_modeldir,
  output_basename =               stanfit_prefix
  )

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freqmodel_flat_obs_stanfit$summary()

## # A tibble: 2,001 × 10
##    variable       mean   median      sd     mad       q5      q95  rhat ess_bulk
##    <chr>         <dbl>    <dbl>   <dbl>   <dbl>    <dbl>    <dbl> <dbl>    <dbl>
##  1 lp__       -4.13e+3 -4.13e+3 22.7    22.4    -4.16e+3 -4.09e+3  1.00     945.
##  2 lambda[1]   1.45e-1  1.23e-1  0.106   0.0862  2.22e-2  3.55e-1  1.00    1764.
##  3 lambda[2]   9.05e-1  8.11e-1  0.508   0.458   2.66e-1  1.93e+0  1.00    2136.
##  4 lambda[3]   1.02e-1  8.99e-2  0.0594  0.0532  2.61e-2  2.17e-1  1.01    2212.
##  5 lambda[4]   5.59e-1  5.51e-1  0.107   0.106   3.98e-1  7.44e-1  1.00    2229.
##  6 lambda[5]   2.19e-1  2.12e-1  0.0652  0.0626  1.23e-1  3.39e-1  1.00    2137.
##  7 lambda[6]   2.55e-1  2.49e-1  0.0724  0.0717  1.48e-1  3.81e-1  1.00    2068.
##  8 lambda[7]   5.18e-1  5.11e-1  0.0997  0.0954  3.71e-1  6.98e-1  1.00    2024.
##  9 lambda[8]   3.29e-1  3.22e-1  0.0786  0.0770  2.12e-1  4.67e-1  1.00    2194.
## 10 lambda[9]   7.93e-2  7.36e-2  0.0389  0.0364  2.80e-2  1.52e-1  1.00    2410.
## # … with 1,991 more rows, and 1 more variable: ess_tail <dbl>

Now that we have fit our models, we repeat our validation model much like we did the last time. We expect this model to deviate from our first model however as we have a less-reliable estimate of the observation time for each customer - as it is now calculated as ending at the last observation.

freqmodel_flat_obs_validation_tbl <- freqmodel_flat_obs_stanfit %>%
  recover_types(fit_1000_data_tbl) %>%
  spread_draws(lambda[customer_id]) %>%
  ungroup() %>%
  inner_join(customer_simparams_tbl, by = "customer_id") %>%
  select(customer_id, draw_id = .draw, post_lambda = lambda, customer_lambda)

freqmodel_flat_obs_validation_tbl %>% glimpse()

## Rows: 2,000,000
## Columns: 4
## $ customer_id     <chr> "00JP8DATDZ", "00JP8DATDZ", "00JP8DATDZ", "00JP8DATDZ"…
## $ draw_id         <int> 1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16,…
## $ post_lambda     <dbl> 0.2040730, 0.0686289, 0.1629100, 0.3354840, 0.0417703,…
## $ customer_lambda <dbl> 0.01822481, 0.01822481, 0.01822481, 0.01822481, 0.0182…

We also construct validation plots for this.

plotvalid_tbl <- freqmodel_flat_obs_validation_tbl %>%
  calculate_distribution_qvals(post_lambda, customer_lambda)

ggplot(plotvalid_tbl) +
  geom_histogram(aes(x = q_val), bins = 50) +
  geom_hline(aes(yintercept = plotvalid_tbl %>% nrow() %>% divide_by(50)), colour = "red") +
  labs(
    x = "Quantile",
    y = "Count",
    title = "Quantile Plot of the q-Values for the Posterior Distribution"
    )

ggplot(plotvalid_tbl) +
  geom_point(aes(x = q_val, y = customer_lambda), alpha = 0.2) +
  labs(
    x = "Quantile",
    y = "Customer Lambda",
    title = "Scatterplot of q-Value against Lambda"
    )

3.6 Construct Posterior Distribution Comparisons

We now combine the outputted posterior distributions and compare them together.

comparison_distrib_tbl <- list(
    `Fixed Time`    = freqmodel_flat_validation_tbl,
    `Observed Time` = freqmodel_flat_obs_validation_tbl
    ) %>%
  bind_rows(.id = "label")

comparison_distrib_tbl %>% glimpse()

## Rows: 4,000,000
## Columns: 5
## $ label           <chr> "Fixed Time", "Fixed Time", "Fixed Time", "Fixed Time"…
## $ customer_id     <chr> "00JP8DATDZ", "00JP8DATDZ", "00JP8DATDZ", "00JP8DATDZ"…
## $ draw_id         <int> 1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16,…
## $ post_lambda     <dbl> 0.03152330, 0.01923300, 0.06058230, 0.03693450, 0.0235…
## $ customer_lambda <dbl> 0.01822481, 0.01822481, 0.01822481, 0.01822481, 0.0182…

Now that we have this data we can construct a number of visualisations to help us compare these two distributions on a per-customer basis.

comparison_summary_tbl <- comparison_distrib_tbl %>%
  group_by(label, customer_id) %>%
  summarise(
    .groups = "drop",
    
    labels = c("q10", "q25", "q50", "q75", "q90", "mean", "customer_lambda"),
    vals   = c(quantile(post_lambda, probs = c(0.1, 0.25, 0.50, 0.75, 0.90)),
               mean(post_lambda),
               unique(customer_lambda))
    ) %>%
  pivot_wider(
    names_from  = labels,
    values_from = vals
    )

plot_tbl <- comparison_summary_tbl %>%
  group_nest(customer_id) %>%
  slice_sample(n = 30) %>%
  unnest(data)

ggplot(plot_tbl) +
  geom_errorbar(
    aes(x = customer_id, ymin = q10, ymax = q90, colour = label),
    position = position_dodge(width = 0.75), width = 0, size = 1) +
  geom_errorbar(
    aes(x = customer_id, ymin = q25, ymax = q75, colour = label),
    position = position_dodge(width = 0.75), width = 0, size = 2) +
  geom_point(aes(x = customer_id, y = customer_lambda)) +
  labs(
    x = "Customer ID",
    y = "Frequency Rate",
    colour = "Distribution"
    ) +
  theme(axis.text.x = element_text(angle = 90, vjust = 0.5))

As there is a broad selection of different lambda values, we draw a random selection of customer_id for different ranges of these values.

plotdata_tbl <- comparison_summary_tbl %>%
  mutate(
    lambda_segment = case_when(
      (customer_lambda > 0.00 & customer_lambda <= 0.30) ~ "SEG1",
      (customer_lambda > 0.30 & customer_lambda <= 0.60) ~ "SEG2",
      (customer_lambda > 0.60 & customer_lambda <= 0.90) ~ "SEG3",
      (customer_lambda > 0.90 & customer_lambda <= 1.20) ~ "SEG4",
      (customer_lambda > 1.20)                           ~ "SEG5",
      TRUE ~ "ERROR"
      )
    ) %>%
  group_nest(lambda_segment) %>%
  mutate(
    sample_data = map(data, ~ .x %>% group_nest(customer_id) %>% slice_sample(n = 10))
    ) %>%
  select(lambda_segment, sample_data) %>%
  unnest(sample_data) %>%
  unnest(data)


ggplot(plotdata_tbl %>% mutate(customer_id = str_trunc(customer_id, width = 7))) +
  geom_errorbar(
    aes(x = customer_id, ymin = q10, ymax = q90, colour = label),
    position = position_dodge(width = 0.75), width = 0, size = 1) +
  geom_errorbar(
    aes(x = customer_id, ymin = q25, ymax = q75, colour = label),
    position = position_dodge(width = 0.75), width = 0, size = 2) +
  geom_point(
    aes(x = customer_id, y = customer_lambda, group = label),
    position = position_dodge(width = 0.75)) +
  facet_wrap(vars(lambda_segment), scales = "free") +
  labs(
    x = "Customer ID",
    y = "Frequency Rate",
    colour = "Distribution"
    ) +
  theme(
    axis.text.x = element_text(angle = 90, vjust = 0.5, size = 6),
    legend.position = "bottom"
    )

3.7 Estimate Posterior Interval Coverage

One final validity check is to see how often the ‘true’ lambda value falls within our posterior intervals. We create a boolean variable for both intervals (the 50% and the 80%) and then check the proportion of values against the width.

coverage_stats_tbl <- comparison_summary_tbl %>%
  mutate(
    up_50 = customer_lambda > q75,
    dn_50 = customer_lambda < q25,
    up_80 = customer_lambda < q10,
    dn_80 = customer_lambda > q90,
    cover_50 = (!up_50 & !dn_50),
    cover_80 = (!up_80 & !dn_80)
    )

coverage_stats_tbl %>%
  group_by(label) %>%
  summarise(
    .groups = "drop",

    prop_50 = sum(cover_50) / n(),
    prop_80 = sum(cover_80) / n(),

    prop_up50 = sum(up_50) / n(),
    prop_dn50 = sum(dn_50) / n(),
    prop_up80 = sum(up_80) / n(),
    prop_dn80 = sum(dn_80) / n()
    )

## # A tibble: 2 × 7
##   label         prop_50 prop_80 prop_up50 prop_dn50 prop_up80 prop_dn80
##   <chr>           <dbl>   <dbl>     <dbl>     <dbl>     <dbl>     <dbl>
## 1 Fixed Time      0.5     0.79      0.164     0.336     0.157     0.053
## 2 Observed Time   0.424   0.711     0.107     0.469     0.257     0.032

These numbers line up with what we expect, though we can see that using the observed time as our input introduces an upward bias in inferred values for lambda. We could assess further using bootstrap techniques, but I do not think it is necessary.

We will leave repeating the above analysis for the larger datasets as an exercise.

4.1 Construct Stan Model with Priors on Lambda

This is ‘prior’ knowledge and we can set up these priors for the parameters within our model to allow for this prior knowledge.

## data {
##   int<lower=1> n;                   // count of observations
## 
##   array[n] int<lower=0> btyd_count; // observed number of transactions
##   vector<lower=0>[n]    tnx_weeks;  // observed time-period of transactions
## 
##   real r;
##   real alpha;
## }
## 
## parameters {
##   vector<lower=0>[n] lambda;
## }
## 
## model {
##   lambda ~ gamma(r, alpha);
## 
##   target += poisson_lpmf(btyd_count | lambda .* tnx_weeks);
## }
## 
## generated quantities {
##   vector[n] log_lik;
## 
##   for (i in 1:n) {
##     log_lik[i] = poisson_lpmf(btyd_count[i] | lambda[i] * tnx_weeks[i]);
##   }
## }

You can see we have now added code to say that our posterior inference on each customer value for lambda is the combination of a prior Gamma distribution and our Poisson likelihood for the observed counts.

We now compile this model using CmdStanR.

freqmodel_prior_stanmodel <- cmdstan_model(
  "stan_code/freqmodel_prior.stan",
  include_paths =   stan_codedir,
  pedantic      =           TRUE,
  dir           =  stan_modeldir
  )

Having compiled the Stan model, we now fit it with our data.

stan_modelname <- "freqmodel_prior"
stanfit_prefix <- str_c("fit_", stan_modelname) 

stan_data_lst <- fit_1000_data_tbl %>%
  transmute(customer_id, btyd_count, tnx_weeks) %>%
  compose_data(
    r     =  0.25,
    alpha =     1
    )

freqmodel_prior_stanfit <- freqmodel_prior_stanmodel$sample(
  data            =                stan_data_lst,
  chains          =                            4,
  iter_warmup     =                          500,
  iter_sampling   =                          500,
  seed            =                         4204,
  output_dir      =                stan_modeldir,
  output_basename =               stanfit_prefix
  )

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freqmodel_prior_stanfit$summary()

## # A tibble: 2,001 × 10
##    variable       mean   median      sd     mad       q5      q95  rhat ess_bulk
##    <chr>         <dbl>    <dbl>   <dbl>   <dbl>    <dbl>    <dbl> <dbl>    <dbl>
##  1 lp__       -3.18e+3 -3.18e+3 23.3    24.1    -3.22e+3 -3.14e+3  1.00     889.
##  2 lambda[1]   8.16e-2  6.23e-2  0.0718  0.0553  7.50e-3  2.21e-1  1.00    1899.
##  3 lambda[2]   5.17e-1  4.40e-1  0.359   0.304   1.00e-1  1.24e+0  1.00    2214.
##  4 lambda[3]   7.55e-2  6.30e-2  0.0518  0.0433  1.62e-2  1.72e-1  1.00    2642.
##  5 lambda[4]   5.33e-1  5.26e-1  0.104   0.108   3.77e-1  7.12e-1  1.00    2162.
##  6 lambda[5]   1.97e-1  1.89e-1  0.0613  0.0580  1.10e-1  3.11e-1  1.01    2670.
##  7 lambda[6]   2.34e-1  2.25e-1  0.0693  0.0696  1.35e-1  3.56e-1  1.00    1919.
##  8 lambda[7]   4.98e-1  4.93e-1  0.0986  0.0960  3.50e-1  6.71e-1  1.00    2552.
##  9 lambda[8]   3.05e-1  3.00e-1  0.0755  0.0753  1.91e-1  4.34e-1  1.00    1812.
## 10 lambda[9]   6.29e-2  5.66e-2  0.0352  0.0326  1.75e-2  1.29e-1  1.00    2022.
## # … with 1,991 more rows, and 1 more variable: ess_tail <dbl>

Once again, we want to check the HMC diagnostics.

freqmodel_prior_stanfit$cmdstan_diagnose()

## Processing csv files: /home/rstudio/workshop/stan_models/fit_freqmodel_prior-1.csv, /home/rstudio/workshop/stan_models/fit_freqmodel_prior-2.csv, /home/rstudio/workshop/stan_models/fit_freqmodel_prior-3.csv, /home/rstudio/workshop/stan_models/fit_freqmodel_prior-4.csv
## 
## Checking sampler transitions treedepth.
## Treedepth satisfactory for all transitions.
## 
## Checking sampler transitions for divergences.
## No divergent transitions found.
## 
## Checking E-BFMI - sampler transitions HMC potential energy.
## E-BFMI satisfactory.
## 
## Effective sample size satisfactory.
## 
## Split R-hat values satisfactory all parameters.
## 
## Processing complete, no problems detected.

4.2 Check Posterior Lambda Values

We repeat our validation exercise from before, comparing the outputs of the posterior distribution for each lambda against the known true value.

freqmodel_prior_validation_tbl <- freqmodel_prior_stanfit %>%
  recover_types(fit_1000_data_tbl) %>%
  spread_draws(lambda[customer_id]) %>%
  ungroup() %>%
  inner_join(customer_simparams_tbl, by = "customer_id") %>%
  select(customer_id, draw_id = .draw, post_lambda = lambda, customer_lambda)

freqmodel_prior_validation_tbl %>% glimpse()

## Rows: 2,000,000
## Columns: 4
## $ customer_id     <chr> "00JP8DATDZ", "00JP8DATDZ", "00JP8DATDZ", "00JP8DATDZ"…
## $ draw_id         <int> 1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16,…
## $ post_lambda     <dbl> 0.12767900, 0.22879800, 0.01763790, 0.22609800, 0.0195…
## $ customer_lambda <dbl> 0.01822481, 0.01822481, 0.01822481, 0.01822481, 0.0182…

We now calculate the q-values of each parameter against the posterior distribution and plot a histogram of these q-values.

plotvalid_tbl <- freqmodel_prior_validation_tbl %>%
  calculate_distribution_qvals(post_lambda, customer_lambda)

ggplot(plotvalid_tbl) +
  geom_histogram(aes(x = q_val), bins = 50) +
  geom_hline(aes(yintercept = plotvalid_tbl %>% nrow() %>% divide_by(50)), colour = "red") +
  labs(
    x = "Quantile",
    y = "Count",
    title = "Quantile Plot of the q-Values for the Posterior Distribution"
    )

4.3 Comparing the Uniform Prior and Gamma Prior Posteriors

Now we have both posterior distributions based on the observed lifetime of the customer and it is useful to compare the two distributions.

comparison_distrib_tbl <- list(
    `Flat`  = freqmodel_flat_obs_validation_tbl,
    `Prior` = freqmodel_prior_validation_tbl
    ) %>%
  bind_rows(.id = "label")

comparison_distrib_tbl %>% glimpse()

## Rows: 4,000,000
## Columns: 5
## $ label           <chr> "Flat", "Flat", "Flat", "Flat", "Flat", "Flat", "Flat"…
## $ customer_id     <chr> "00JP8DATDZ", "00JP8DATDZ", "00JP8DATDZ", "00JP8DATDZ"…
## $ draw_id         <int> 1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16,…
## $ post_lambda     <dbl> 0.2040730, 0.0686289, 0.1629100, 0.3354840, 0.0417703,…
## $ customer_lambda <dbl> 0.01822481, 0.01822481, 0.01822481, 0.01822481, 0.0182…

We now can compare the outputs of the two posterior distributions based on using a uniform prior and Gamma prior.

comparison_summary_tbl <- comparison_distrib_tbl %>%
  group_by(label, customer_id) %>%
  summarise(
    .groups = "drop",
    
    labels = c("q10", "q25", "q50", "q75", "q90", "mean", "customer_lambda"),
    vals   = c(quantile(post_lambda, probs = c(0.1, 0.25, 0.50, 0.75, 0.90)),
               mean(post_lambda),
               unique(customer_lambda))
    ) %>%
  pivot_wider(
    names_from  = labels,
    values_from = vals
    )

comparison_summary_tbl %>% glimpse()

## Rows: 2,000
## Columns: 9
## $ label           <chr> "Flat", "Flat", "Flat", "Flat", "Flat", "Flat", "Flat"…
## $ customer_id     <chr> "00JP8DATDZ", "020O4TLBUO", "02AIZVL9MO", "03V7QNX3MY"…
## $ q10             <dbl> 0.036296910, 0.337456100, 0.035923530, 0.428432700, 0.…
## $ q25             <dbl> 0.069737625, 0.529555250, 0.057754575, 0.485222750, 0.…
## $ q50             <dbl> 0.12261000, 0.81107350, 0.08986235, 0.55071450, 0.2123…
## $ q75             <dbl> 0.18882625, 1.16598250, 0.13248400, 0.62804075, 0.2571…
## $ q90             <dbl> 0.27889410, 1.59615500, 0.18247880, 0.69566790, 0.3052…
## $ mean            <dbl> 0.14498034, 0.90473102, 0.10181685, 0.55933882, 0.2186…
## $ customer_lambda <dbl> 0.018224807, 0.026671151, 0.018550612, 0.649189558, 0.…

Now that we have summary stats of the two distributions we segment our data into the different groups of known values for lambda and then plot the range of values for the different distributions.

plotdata_tbl <- comparison_summary_tbl %>%
  mutate(
    lambda_segment = case_when(
      (customer_lambda > 0.00 & customer_lambda <= 0.30) ~ "SEG1",
      (customer_lambda > 0.30 & customer_lambda <= 0.60) ~ "SEG2",
      (customer_lambda > 0.60 & customer_lambda <= 0.90) ~ "SEG3",
      (customer_lambda > 0.90 & customer_lambda <= 1.20) ~ "SEG4",
      (customer_lambda > 1.20)                           ~ "SEG5",
      TRUE ~ "ERROR"
      )
    ) %>%
  group_nest(lambda_segment) %>%
  mutate(
    sample_data = map(data, ~ .x %>% group_nest(customer_id) %>% slice_sample(n = 10))
    ) %>%
  select(lambda_segment, sample_data) %>%
  unnest(sample_data) %>%
  unnest(data)


ggplot(plotdata_tbl %>% mutate(customer_id = str_trunc(customer_id, width = 7))) +
  geom_errorbar(
    aes(x = customer_id, ymin = q10, ymax = q90, colour = label),
    position = position_dodge(width = 0.75), width = 0, size = 1) +
  geom_errorbar(
    aes(x = customer_id, ymin = q25, ymax = q75, colour = label),
    position = position_dodge(width = 0.75), width = 0, size = 2) +
  geom_point(
    aes(x = customer_id, y = customer_lambda)) +
  facet_wrap(vars(lambda_segment), scales = "free") +
  labs(
    x = "Customer ID",
    y = "Frequency Rate",
    colour = "Distribution"
    ) +
  theme(
    axis.text.x = element_text(angle = 90, vjust = 0.5, size = 6),
    legend.position = "bottom"
    )

And we also want to compare the two distributions for the posterior coverage.

coverage_stats_tbl <- comparison_summary_tbl %>%
  mutate(
    up_50 = customer_lambda > q75,
    dn_50 = customer_lambda < q25,
    up_80 = customer_lambda < q10,
    dn_80 = customer_lambda > q90,
    cover_50 = (!up_50 & !dn_50),
    cover_80 = (!up_80 & !dn_80)
    )

coverage_stats_tbl %>%
  group_by(label) %>%
  summarise(
    .groups = "drop",

    prop_50 = sum(cover_50) / n(),
    prop_80 = sum(cover_80) / n(),

    prop_up50 = sum(up_50) / n(),
    prop_dn50 = sum(dn_50) / n(),
    prop_up80 = sum(up_80) / n(),
    prop_dn80 = sum(dn_80) / n()
    )

## # A tibble: 2 × 7
##   label prop_50 prop_80 prop_up50 prop_dn50 prop_up80 prop_dn80
##   <chr>   <dbl>   <dbl>     <dbl>     <dbl>     <dbl>     <dbl>
## 1 Flat    0.424   0.711     0.107     0.469     0.257     0.032
## 2 Prior   0.466   0.78      0.21      0.324     0.14      0.08

4.4 Fitting with an Alternative Prior

We fit the model again with a narrower prior on lambda to investigate the effect of this.

stan_modelname <- "freqmodel_prior_2"
stanfit_prefix <- str_c("fit_", stan_modelname) 

stan_data_lst <- fit_1000_data_tbl %>%
  transmute(customer_id, btyd_count, tnx_weeks) %>%
  compose_data(
    r     =  1,
    alpha =  4
    )

freqmodel_prior_2_stanfit <- freqmodel_prior_stanmodel$sample(
  data            =                stan_data_lst,
  chains          =                            4,
  iter_warmup     =                          500,
  iter_sampling   =                          500,
  seed            =                         4205,
  output_dir      =                stan_modeldir,
  output_basename =               stanfit_prefix
  )

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## Mean chain execution time: 6.2 seconds.
## Total execution time: 6.7 seconds.

freqmodel_prior_2_stanfit$summary()

## # A tibble: 2,001 × 10
##    variable       mean   median      sd     mad       q5      q95  rhat ess_bulk
##    <chr>         <dbl>    <dbl>   <dbl>   <dbl>    <dbl>    <dbl> <dbl>    <dbl>
##  1 lp__       -5.31e+3 -5.31e+3 22.8    23.5    -5.35e+3 -5.28e+3 1.00      714.
##  2 lambda[1]   1.13e-1  9.55e-2  0.0777  0.0687  2.08e-2  2.72e-1 0.999    2307.
##  3 lambda[2]   4.01e-1  3.59e-1  0.234   0.208   1.14e-1  8.43e-1 1.00     2189.
##  4 lambda[3]   9.05e-2  8.23e-2  0.0514  0.0475  2.37e-2  1.88e-1 1.00     2112.
##  5 lambda[4]   5.17e-1  5.10e-1  0.0946  0.0931  3.70e-1  6.83e-1 1.00     1590.
##  6 lambda[5]   2.00e-1  1.94e-1  0.0609  0.0608  1.11e-1  3.06e-1 1.00     2295.
##  7 lambda[6]   2.36e-1  2.31e-1  0.0661  0.0632  1.39e-1  3.58e-1 1.00     2296.
##  8 lambda[7]   4.81e-1  4.75e-1  0.0925  0.0927  3.44e-1  6.45e-1 1.00     2226.
##  9 lambda[8]   3.06e-1  3.02e-1  0.0746  0.0744  1.95e-1  4.35e-1 1.00     2761.
## 10 lambda[9]   7.37e-2  6.61e-2  0.0388  0.0332  2.50e-2  1.48e-1 1.00     2379.
## # … with 1,991 more rows, and 1 more variable: ess_tail <dbl>

Having fitted our model we now run our HMC diagnostics.

freqmodel_prior_2_stanfit$cmdstan_diagnose()

## Processing csv files: /home/rstudio/workshop/stan_models/fit_freqmodel_prior_2-1.csv, /home/rstudio/workshop/stan_models/fit_freqmodel_prior_2-2.csv, /home/rstudio/workshop/stan_models/fit_freqmodel_prior_2-3.csv, /home/rstudio/workshop/stan_models/fit_freqmodel_prior_2-4.csv
## 
## Checking sampler transitions treedepth.
## Treedepth satisfactory for all transitions.
## 
## Checking sampler transitions for divergences.
## No divergent transitions found.
## 
## Checking E-BFMI - sampler transitions HMC potential energy.
## E-BFMI satisfactory.
## 
## Effective sample size satisfactory.
## 
## Split R-hat values satisfactory all parameters.
## 
## Processing complete, no problems detected.

We repeat our validation exercise from before, comparing the outputs of the posterior distribution for each lambda against the known true value.

freqmodel_prior_2_validation_tbl <- freqmodel_prior_2_stanfit %>%
  recover_types(fit_1000_data_tbl) %>%
  spread_draws(lambda[customer_id]) %>%
  ungroup() %>%
  inner_join(customer_simparams_tbl, by = "customer_id") %>%
  select(customer_id, draw_id = .draw, post_lambda = lambda, customer_lambda)

freqmodel_prior_2_validation_tbl %>% glimpse()

## Rows: 2,000,000
## Columns: 4
## $ customer_id     <chr> "00JP8DATDZ", "00JP8DATDZ", "00JP8DATDZ", "00JP8DATDZ"…
## $ draw_id         <int> 1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16,…
## $ post_lambda     <dbl> 0.1472300, 0.0445552, 0.2295150, 0.0672781, 0.1772340,…
## $ customer_lambda <dbl> 0.01822481, 0.01822481, 0.01822481, 0.01822481, 0.0182…

We now calculate the q-values of each parameter against the posterior distribution and plot a histogram of these q-values.

plotvalid_tbl <- freqmodel_prior_2_validation_tbl %>%
  calculate_distribution_qvals(post_lambda, customer_lambda)

ggplot(plotvalid_tbl) +
  geom_histogram(aes(x = q_val), bins = 50) +
  geom_hline(aes(yintercept = plotvalid_tbl %>% nrow() %>% divide_by(50)), colour = "red") +
  labs(
    x = "Quantile",
    y = "Count",
    title = "Quantile Plot of the q-Values for the Posterior Distribution"
    )

4.5 Construct the Comparison Plot

Once again we now construct the data to plot out the comparisons.

comparison_distrib_tbl <- list(
    `Flat`    = freqmodel_flat_obs_validation_tbl,
    `Prior 1` = freqmodel_prior_validation_tbl,
    `Prior 2` = freqmodel_prior_2_validation_tbl
    ) %>%
  bind_rows(.id = "label")

comparison_distrib_tbl %>% glimpse()

## Rows: 6,000,000
## Columns: 5
## $ label           <chr> "Flat", "Flat", "Flat", "Flat", "Flat", "Flat", "Flat"…
## $ customer_id     <chr> "00JP8DATDZ", "00JP8DATDZ", "00JP8DATDZ", "00JP8DATDZ"…
## $ draw_id         <int> 1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16,…
## $ post_lambda     <dbl> 0.2040730, 0.0686289, 0.1629100, 0.3354840, 0.0417703,…
## $ customer_lambda <dbl> 0.01822481, 0.01822481, 0.01822481, 0.01822481, 0.0182…

We now can compare the outputs of the two posterior distributions based on using a uniform prior and Gamma prior.

comparison_summary_tbl <- comparison_distrib_tbl %>%
  group_by(label, customer_id) %>%
  summarise(
    .groups = "drop",
    
    labels = c("q10", "q25", "q50", "q75", "q90", "mean", "customer_lambda"),
    vals   = c(quantile(post_lambda, probs = c(0.1, 0.25, 0.50, 0.75, 0.90)),
               mean(post_lambda),
               unique(customer_lambda))
    ) %>%
  pivot_wider(
    names_from  = labels,
    values_from = vals
    )

comparison_summary_tbl %>% glimpse()

## Rows: 3,000
## Columns: 9
## $ label           <chr> "Flat", "Flat", "Flat", "Flat", "Flat", "Flat", "Flat"…
## $ customer_id     <chr> "00JP8DATDZ", "020O4TLBUO", "02AIZVL9MO", "03V7QNX3MY"…
## $ q10             <dbl> 0.036296910, 0.337456100, 0.035923530, 0.428432700, 0.…
## $ q25             <dbl> 0.069737625, 0.529555250, 0.057754575, 0.485222750, 0.…
## $ q50             <dbl> 0.12261000, 0.81107350, 0.08986235, 0.55071450, 0.2123…
## $ q75             <dbl> 0.18882625, 1.16598250, 0.13248400, 0.62804075, 0.2571…
## $ q90             <dbl> 0.27889410, 1.59615500, 0.18247880, 0.69566790, 0.3052…
## $ mean            <dbl> 0.14498034, 0.90473102, 0.10181685, 0.55933882, 0.2186…
## $ customer_lambda <dbl> 0.018224807, 0.026671151, 0.018550612, 0.649189558, 0.…

Now that we have summary stats of the two distributions we segment our data into the different groups of known values for lambda and then plot the range of values for the different distributions.

plotdata_tbl <- comparison_summary_tbl %>%
  mutate(
    lambda_segment = case_when(
      (customer_lambda > 0.00 & customer_lambda <= 0.30) ~ "SEG1",
      (customer_lambda > 0.30 & customer_lambda <= 0.60) ~ "SEG2",
      (customer_lambda > 0.60 & customer_lambda <= 0.90) ~ "SEG3",
      (customer_lambda > 0.90 & customer_lambda <= 1.20) ~ "SEG4",
      (customer_lambda > 1.20)                           ~ "SEG5",
      TRUE ~ "ERROR"
      )
    ) %>%
  group_nest(lambda_segment) %>%
  mutate(
    sample_data = map(data, ~ .x %>% group_nest(customer_id) %>% slice_sample(n = 10))
    ) %>%
  select(lambda_segment, sample_data) %>%
  unnest(sample_data) %>%
  unnest(data)


ggplot(plotdata_tbl %>% mutate(customer_id = str_trunc(customer_id, width = 7))) +
  geom_errorbar(
    aes(x = customer_id, ymin = q10, ymax = q90, colour = label),
    position = position_dodge(width = 0.75), width = 0, size = 0.5) +
  geom_errorbar(
    aes(x = customer_id, ymin = q25, ymax = q75, colour = label),
    position = position_dodge(width = 0.75), width = 0, size = 1) +
  geom_point(
    aes(x = customer_id, y = customer_lambda)) +
  facet_wrap(vars(lambda_segment), scales = "free") +
  labs(
    x = "Customer ID",
    y = "Frequency Rate",
    colour = "Distribution"
    ) +
  theme(
    axis.text.x = element_text(angle = 90, vjust = 0.5, size = 6),
    legend.position = "bottom"
    )

And we also want to compare the two distributions for the posterior coverage.

coverage_stats_tbl <- comparison_summary_tbl %>%
  mutate(
    up_50 = customer_lambda > q75,
    dn_50 = customer_lambda < q25,
    up_80 = customer_lambda < q10,
    dn_80 = customer_lambda > q90,
    cover_50 = (!up_50 & !dn_50),
    cover_80 = (!up_80 & !dn_80)
    )

coverage_stats_tbl %>%
  group_by(label) %>%
  summarise(
    .groups = "drop",

    prop_50 = sum(cover_50) / n(),
    prop_80 = sum(cover_80) / n(),

    prop_up50 = sum(up_50) / n(),
    prop_dn50 = sum(dn_50) / n(),
    prop_up80 = sum(up_80) / n(),
    prop_dn80 = sum(dn_80) / n()
    )

## # A tibble: 3 × 7
##   label   prop_50 prop_80 prop_up50 prop_dn50 prop_up80 prop_dn80
##   <chr>     <dbl>   <dbl>     <dbl>     <dbl>     <dbl>     <dbl>
## 1 Flat      0.424   0.711     0.107     0.469     0.257     0.032
## 2 Prior 1   0.466   0.78      0.21      0.324     0.14      0.08 
## 3 Prior 2   0.462   0.757     0.159     0.379     0.185     0.058

5.1 Compile and Fit First Hierarchical Model

We first need to compile this fitted model.

freqmodel_hier_stanmodel <- cmdstan_model(
  "stan_code/freqmodel_hier.stan",
  include_paths = stan_codedir,
  pedantic      =  TRUE,
  dir           = stan_modeldir
  )

We then use this compiled model with our data to produce a fit of the data.

stan_modelname <- "freqmodel_hier"
stanfit_prefix <- str_c("fit_", stan_modelname) 

stan_data_lst <- fit_1000_data_tbl %>%
  transmute(customer_id, btyd_count, tnx_weeks) %>%
  compose_data(
    mean_p1 = 1,
    mean_p2 = 3,
    
    cov_p1  = 2,
    cov_p2  = 2
    )

freqmodel_hier_stanfit <- freqmodel_hier_stanmodel$sample(
  data            =                stan_data_lst,
  chains          =                            4,
  iter_warmup     =                          500,
  iter_sampling   =                          500,
  seed            =                         4206,
  output_dir      =                stan_modeldir,
  output_basename =               stanfit_prefix
  )

## Running MCMC with 4 parallel chains...
## 
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freqmodel_hier_stanfit$summary()

## # A tibble: 2,005 × 10
##    variable       mean   median      sd     mad       q5      q95  rhat ess_bulk
##    <chr>         <dbl>    <dbl>   <dbl>   <dbl>    <dbl>    <dbl> <dbl>    <dbl>
##  1 lp__       -3.90e+3 -3.90e+3 2.47e+1 2.47e+1 -3.94e+3 -3.86e+3 1.01      521.
##  2 hier_mean   2.84e-1  2.84e-1 8.80e-3 8.77e-3  2.70e-1  2.99e-1 1.00     2771.
##  3 hier_cov    9.31e-1  9.31e-1 2.25e-2 2.29e-2  8.93e-1  9.67e-1 1.00     1361.
##  4 lambda[1]   1.21e-1  1.00e-1 8.44e-2 7.35e-2  2.26e-2  2.92e-1 1.00     1744.
##  5 lambda[2]   4.19e-1  3.75e-1 2.36e-1 2.12e-1  1.27e-1  8.57e-1 0.999    1911.
##  6 lambda[3]   9.49e-2  8.41e-2 5.40e-2 4.78e-2  2.94e-2  1.95e-1 1.00     2348.
##  7 lambda[4]   5.17e-1  5.08e-1 9.76e-2 9.51e-2  3.65e-1  6.85e-1 1.00     2699.
##  8 lambda[5]   2.04e-1  1.98e-1 6.15e-2 5.69e-2  1.13e-1  3.18e-1 1.01     2925.
##  9 lambda[6]   2.39e-1  2.32e-1 7.01e-2 6.80e-2  1.39e-1  3.61e-1 1.00     2218.
## 10 lambda[7]   4.87e-1  4.80e-1 9.36e-2 8.99e-2  3.41e-1  6.50e-1 1.00     1977.
## # … with 1,995 more rows, and 1 more variable: ess_tail <dbl>

We also want to check the various HMC diagnostics.

freqmodel_hier_stanfit$cmdstan_diagnose()

## Processing csv files: /home/rstudio/workshop/stan_models/fit_freqmodel_hier-1.csv, /home/rstudio/workshop/stan_models/fit_freqmodel_hier-2.csv, /home/rstudio/workshop/stan_models/fit_freqmodel_hier-3.csv, /home/rstudio/workshop/stan_models/fit_freqmodel_hier-4.csv
## 
## Checking sampler transitions treedepth.
## Treedepth satisfactory for all transitions.
## 
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## No divergent transitions found.
## 
## Checking E-BFMI - sampler transitions HMC potential energy.
## E-BFMI satisfactory.
## 
## Effective sample size satisfactory.
## 
## Split R-hat values satisfactory all parameters.
## 
## Processing complete, no problems detected.

The HMC diagnostics seem to check out, so before we look at individual values for lambda we want to check the posterior distributions for the hierarchical priors.

posterior_params_tbl <- freqmodel_hier_stanfit %>%
  tidy_draws() %>%
  select(.draw, hier_mean, hier_cov, r, alpha) %>%
  pivot_longer(
    cols      = !.draw,
    names_to  = "parameter",
    values_to = "value"
    )

ggplot(posterior_params_tbl) +
  geom_histogram(aes(x = value), bins = 50) +
  facet_wrap(vars(parameter), ncol = 2, scales = "free_x") +
  labs(
    x = "Parameter Value",
    y = "Count",
    title = "Histograms of the Hierarchical Posteriors"
    )

5.2 Perform Basic Model Validation

As before, we perform some cursory model validation based on some of the data we have.

freqmodel_hier_validation_tbl <- freqmodel_hier_stanfit %>%
  recover_types(fit_1000_data_tbl) %>%
  spread_draws(lambda[customer_id]) %>%
  ungroup() %>%
  inner_join(customer_simparams_tbl, by = "customer_id") %>%
  select(customer_id, draw_id = .draw, post_lambda = lambda, customer_lambda)

freqmodel_hier_validation_tbl %>% glimpse()

## Rows: 2,000,000
## Columns: 4
## $ customer_id     <chr> "00JP8DATDZ", "00JP8DATDZ", "00JP8DATDZ", "00JP8DATDZ"…
## $ draw_id         <int> 1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16,…
## $ post_lambda     <dbl> 0.0809477, 0.1025150, 0.1096440, 0.0309810, 0.3111300,…
## $ customer_lambda <dbl> 0.01822481, 0.01822481, 0.01822481, 0.01822481, 0.0182…

We now calculate the q-values of each parameter against the posterior distribution and plot a histogram of these q-values.

plotvalid_tbl <- freqmodel_hier_validation_tbl %>%
  calculate_distribution_qvals(post_lambda, customer_lambda)

ggplot(plotvalid_tbl) +
  geom_histogram(aes(x = q_val), bins = 50) +
  geom_hline(aes(yintercept = plotvalid_tbl %>% nrow() %>% divide_by(50)), colour = "red") +
  labs(
    x = "Quantile",
    y = "Count",
    title = "Quantile Plot of the q-Values for the Posterior Distribution"
    )

6.1 Validating the Flat Model Fit

Now that we have set up our datasets we fit our model on the first nine months of the year.

This is the exact same model as before, so we do not need to recompile the Stan model, we just fit it with the subsetted data.

stan_modelname <- "freqmodel_flat_subset"
stanfit_prefix <- str_c("fit_", stan_modelname) 

stan_data_lst <- training_stats_tbl %>%
  compose_data()

freqmodel_flat_subset_stanfit <- freqmodel_flat_stanmodel$sample(
  data            =                stan_data_lst,
  chains          =                            4,
  iter_warmup     =                          500,
  iter_sampling   =                          500,
  seed            =                         4207,
  output_dir      =                stan_modeldir,
  output_basename =               stanfit_prefix
  )

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freqmodel_flat_subset_stanfit$summary()

## # A tibble: 20,001 × 10
##    variable       mean   median      sd     mad       q5      q95  rhat ess_bulk
##    <chr>         <dbl>    <dbl>   <dbl>   <dbl>    <dbl>    <dbl> <dbl>    <dbl>
##  1 lp__       -4.15e+4 -4.15e+4 73.6    73.4    -4.16e+4 -4.14e+4 1.00      718.
##  2 lambda[1]   1.56e-1  1.47e-1  0.0645  0.0587  6.64e-2  2.73e-1 1.00     2300.
##  3 lambda[2]   1.53e-1  1.46e-1  0.0638  0.0618  6.39e-2  2.68e-1 1.00     3184.
##  4 lambda[3]   1.52e+0  1.52e+0  0.192   0.193   1.22e+0  1.85e+0 1.00     3267.
##  5 lambda[4]   2.59e-2  1.80e-2  0.0254  0.0188  1.38e-3  7.53e-2 0.999    2441.
##  6 lambda[5]   2.04e-1  1.96e-1  0.0701  0.0661  1.04e-1  3.30e-1 1.00     2694.
##  7 lambda[6]   4.98e-2  4.23e-2  0.0352  0.0299  8.66e-3  1.17e-1 1.00     2285.
##  8 lambda[7]   8.19e-1  8.11e-1  0.145   0.149   5.97e-1  1.07e+0 1.00     2655.
##  9 lambda[8]   4.86e-1  4.79e-1  0.111   0.109   3.22e-1  6.85e-1 1.00     2909.
## 10 lambda[9]   7.70e-2  6.83e-2  0.0447  0.0407  2.03e-2  1.63e-1 1.00     2439.
## # … with 19,991 more rows, and 1 more variable: ess_tail <dbl>

We need to check the HMC diagnostics for this fit.

freqmodel_flat_subset_stanfit$cmdstan_diagnose()

## Processing csv files: /home/rstudio/workshop/stan_models/fit_freqmodel_flat_subset-1.csv, /home/rstudio/workshop/stan_models/fit_freqmodel_flat_subset-2.csv, /home/rstudio/workshop/stan_models/fit_freqmodel_flat_subset-3.csv, /home/rstudio/workshop/stan_models/fit_freqmodel_flat_subset-4.csv
## 
## Checking sampler transitions treedepth.
## Treedepth satisfactory for all transitions.
## 
## Checking sampler transitions for divergences.
## No divergent transitions found.
## 
## Checking E-BFMI - sampler transitions HMC potential energy.
## E-BFMI satisfactory.
## 
## Effective sample size satisfactory.
## 
## Split R-hat values satisfactory all parameters.
## 
## Processing complete, no problems detected.

We use our fitted model to predict the transaction frequency for each customer, then use this to predict a range of transaction counts for each customer in the subsequent three months, finally comparing it to the observed counts.

tnx_window <- difftime(as.Date("2019-12-31"), as.Date("2019-10-01"), units = "weeks") %>%
  as.numeric()

freqmodel_flat_subset_predict_tbl <- freqmodel_flat_subset_stanfit %>%
  recover_types(training_stats_tbl) %>%
  spread_draws(lambda[customer_id]) %>%
  ungroup() %>%
  mutate(
    pred_count = rpois(n(), lambda = lambda * tnx_window)
    )

freqmodel_flat_subset_predict_tbl %>% glimpse()

## Rows: 20,000,000
## Columns: 6
## $ customer_id <chr> "0010G0VY0J", "0010G0VY0J", "0010G0VY0J", "0010G0VY0J", "0…
## $ lambda      <dbl> 0.2839830, 0.1164000, 0.1570210, 0.1270920, 0.1842610, 0.2…
## $ .chain      <int> 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1…
## $ .iteration  <int> 1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16, 17,…
## $ .draw       <int> 1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16, 17,…
## $ pred_count  <int> 3, 1, 1, 3, 2, 5, 0, 0, 2, 4, 6, 2, 2, 2, 0, 3, 1, 0, 1, 2…

As we did before, we now combine these predicted transaction counts with what was observed the dataset and we see if the q-values give us a uniform distribution across customers.

freqmodel_flat_predict_valid_tbl <- freqmodel_flat_subset_predict_tbl %>%
  inner_join(customer_simparams_tbl, by = "customer_id") %>%
  left_join(test_stats_tbl, by = "customer_id") %>%
  select(customer_id, draw_id = .draw, customer_lambda, lambda, pred_count, obs_count = btyd_count) %>%
  replace_na(list(obs_count = 0))

freqmodel_flat_predict_valid_tbl %>% glimpse()

## Rows: 20,000,000
## Columns: 6
## $ customer_id     <chr> "0010G0VY0J", "0010G0VY0J", "0010G0VY0J", "0010G0VY0J"…
## $ draw_id         <int> 1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16,…
## $ customer_lambda <dbl> 0.2207705, 0.2207705, 0.2207705, 0.2207705, 0.2207705,…
## $ lambda          <dbl> 0.2839830, 0.1164000, 0.1570210, 0.1270920, 0.1842610,…
## $ pred_count      <int> 3, 1, 1, 3, 2, 5, 0, 0, 2, 4, 6, 2, 2, 2, 0, 3, 1, 0, …
## $ obs_count       <dbl> 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, …

We now use this data to construct a histogram of the q-vals and compare that with what we would expect from a uniform distribution.

We first start by comparing the posterior distribution of lambda with the known underlying value we used to generate the data.

plotvalid_tbl <- freqmodel_flat_predict_valid_tbl %>%
  calculate_distribution_qvals(lambda, customer_lambda, customer_id)

ggplot(plotvalid_tbl) +
  geom_histogram(aes(x = q_val), bins = 50) +
  geom_hline(aes(yintercept = plotvalid_tbl %>% nrow() %>% divide_by(50)), colour = "red") +
  labs(
    x = "Quantile",
    y = "Count",
    title = "Quantile Plot of the q-Values for Simulated Transaction Frequencies"
    )

We can also repeat this analysis for the observed transaction counts.

plotvalid_tbl <- freqmodel_flat_predict_valid_tbl %>%
  calculate_distribution_qvals(pred_count, obs_count, customer_id, customer_lambda)

ggplot(plotvalid_tbl) +
  geom_histogram(aes(x = q_val), bins = 50) +
  geom_hline(aes(yintercept = plotvalid_tbl %>% nrow() %>% divide_by(50)), colour = "red") +
  labs(
    x = "Quantile",
    y = "Count",
    title = "Quantile Plot of the q-Values for Simulated Transaction Counts"
    )

As this work will be repeated for multiple models, we wrap all the above logic into a function validate_frequency_model to perform the various steps required to construct the validation data, and we need some tables of data set up as well.

customer_lambda_tbl <- customer_simparams_tbl %>% 
  select(customer_id, customer_lambda)

obs_data_tbl <- test_stats_tbl %>%
  select(customer_id, obs_count = tnx_count)

input_validation_tbl <- training_stats_tbl %>%
  inner_join(customer_lambda_tbl, by = "customer_id") %>%
  left_join(obs_data_tbl, by = "customer_id") %>%
  replace_na(
    list(obs_count = 0)
    ) %>%
  transmute(
    customer_id     = customer_id,
    customer_lambda = customer_lambda,
    tnx_window      = tnx_window,
    obs_count       = obs_count
    )

input_validation_tbl %>% glimpse()

## Rows: 10,000
## Columns: 4
## $ customer_id     <chr> "0010G0VY0J", "001YCS74VX", "003L6XXKCJ", "00G07U1V2X"…
## $ customer_lambda <dbl> 0.220770473, 0.066357589, 1.447000773, 0.026214628, 0.…
## $ tnx_window      <dbl> 13, 13, 13, 13, 13, 13, 13, 13, 13, 13, 13, 13, 13, 13…
## $ obs_count       <int> 0, 0, 18, 0, 0, 0, 16, 8, 0, 2, 2, 9, 7, 3, 0, 1, 4, 4…

6.2 Validating Out-of-Sample Frequency Models

As we will be repeating the above logic for each of the models constructed, we write a function called validate_frequency_model to construct this data and allow us to compare multiple models at once.

We now need to refit these models with our ‘training’ data like we did before with our flat model in the previous section.

stan_modelname <- "freqmodel_prior_subset"
stanfit_prefix <- str_c("fit_", stan_modelname) 

stan_data_lst <- training_stats_tbl %>%
  compose_data(
    r     =  0.25,
    alpha =     1
    )

freqmodel_prior_subset_stanfit <- freqmodel_prior_stanmodel$sample(
  data            =                stan_data_lst,
  chains          =                            4,
  iter_warmup     =                          500,
  iter_sampling   =                          500,
  seed            =                         4208,
  output_dir      =                stan_modeldir,
  output_basename =               stanfit_prefix
  )

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## Total execution time: 220.4 seconds.

freqmodel_prior_subset_stanfit$summary()

## # A tibble: 20,001 × 10
##    variable          mean       median      sd      mad       q5         q95  rhat ess_bulk ess_tail
##    <chr>            <dbl>        <dbl>   <dbl>    <dbl>    <dbl>       <dbl> <dbl>    <dbl>    <dbl>
##  1 lp__      -30451.      -30451.      76.2    73.3     -3.06e+4 -30326.      1.01     558.     916.
##  2 lambda[1]      0.131        0.123    0.0581  0.0552   5.16e-2      0.241   1.01    3678.    1274.
##  3 lambda[2]      0.132        0.125    0.0564  0.0529   5.53e-2      0.236   1.00    3681.    1403.
##  4 lambda[3]      1.47         1.46     0.186   0.189    1.18e+0      1.79    1.00    4466.    1715.
##  5 lambda[4]      0.00605      0.00110  0.0119  0.00164  1.32e-7      0.0275  1.00    1101.     827.
##  6 lambda[5]      0.184        0.175    0.0704  0.0669   8.80e-2      0.312   1.00    4067.    1152.
##  7 lambda[6]      0.0309       0.0221   0.0286  0.0205   2.44e-3      0.0874  1.00    2575.    1129.
##  8 lambda[7]      0.782        0.774    0.140   0.145    5.70e-1      1.02    1.01    3634.    1640.
##  9 lambda[8]      0.460        0.455    0.103   0.101    3.01e-1      0.641   1.00    3960.    1469.
## 10 lambda[9]      0.0562       0.0483   0.0378  0.0334   1.02e-2      0.129   1.00    3019.    1250.
## # … with 19,991 more rows

freqmodel_prior_subset_stanfit$cmdstan_diagnose()

## Processing csv files: /home/rstudio/workshop/stan_models/fit_freqmodel_prior_subset-1.csv, /home/rstudio/workshop/stan_models/fit_freqmodel_prior_subset-2.csv, /home/rstudio/workshop/stan_models/fit_freqmodel_prior_subset-3.csv, /home/rstudio/workshop/stan_models/fit_freqmodel_prior_subset-4.csv
## 
## Checking sampler transitions treedepth.
## Treedepth satisfactory for all transitions.
## 
## Checking sampler transitions for divergences.
## No divergent transitions found.
## 
## Checking E-BFMI - sampler transitions HMC potential energy.
## E-BFMI satisfactory.
## 
## Effective sample size satisfactory.
## 
## Split R-hat values satisfactory all parameters.
## 
## Processing complete, no problems detected.

stan_modelname <- "freqmodel_prior_2_subset"
stanfit_prefix <- str_c("fit_", stan_modelname) 

stan_data_lst <- training_stats_tbl %>%
  compose_data(
    r     =  1,
    alpha =  4
    )

freqmodel_prior_2_subset_stanfit <- freqmodel_prior_stanmodel$sample(
  data            =                stan_data_lst,
  chains          =                            4,
  iter_warmup     =                          500,
  iter_sampling   =                          500,
  seed            =                         4209,
  output_dir      =                stan_modeldir,
  output_basename =               stanfit_prefix
  )

## Running MCMC with 4 parallel chains...
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## 
## All 4 chains finished successfully.
## Mean chain execution time: 99.3 seconds.
## Total execution time: 101.2 seconds.

freqmodel_prior_2_subset_stanfit$summary()

## # A tibble: 20,001 × 10
##    variable         mean      median      sd     mad           q5         q95  rhat ess_bulk ess_tail
##    <chr>           <dbl>       <dbl>   <dbl>   <dbl>        <dbl>       <dbl> <dbl>    <dbl>    <dbl>
##  1 lp__      -52087.     -52086.     71.9    70.1    -52205.      -51967.     1.00      876.    1063.
##  2 lambda[1]      0.141       0.132   0.0591  0.0579      0.0602       0.250  1.00     3107.    1282.
##  3 lambda[2]      0.141       0.134   0.0553  0.0540      0.0650       0.243  1.00     2485.    1303.
##  4 lambda[3]      1.38        1.37    0.193   0.185       1.08         1.71   1.01     3939.    1272.
##  5 lambda[4]      0.0234      0.0169  0.0227  0.0176      0.00121      0.0689 1.00     2206.     859.
##  6 lambda[5]      0.187       0.178   0.0683  0.0665      0.0893       0.312  0.999    2932.    1218.
##  7 lambda[6]      0.0460      0.0387  0.0316  0.0278      0.00918      0.109  1.00     2524.    1338.
##  8 lambda[7]      0.752       0.742   0.133   0.137       0.549        0.981  1.00     3443.    1420.
##  9 lambda[8]      0.443       0.437   0.104   0.101       0.291        0.629  1.01     2717.    1391.
## 10 lambda[9]      0.0695      0.0627  0.0391  0.0366      0.0199       0.144  1.01     2695.    1494.
## # … with 19,991 more rows

freqmodel_prior_2_subset_stanfit$cmdstan_diagnose()

## Processing csv files: /home/rstudio/workshop/stan_models/fit_freqmodel_prior_2_subset-1.csv, /home/rstudio/workshop/stan_models/fit_freqmodel_prior_2_subset-2.csv, /home/rstudio/workshop/stan_models/fit_freqmodel_prior_2_subset-3.csv, /home/rstudio/workshop/stan_models/fit_freqmodel_prior_2_subset-4.csv
## 
## Checking sampler transitions treedepth.
## Treedepth satisfactory for all transitions.
## 
## Checking sampler transitions for divergences.
## No divergent transitions found.
## 
## Checking E-BFMI - sampler transitions HMC potential energy.
## E-BFMI satisfactory.
## 
## Effective sample size satisfactory.
## 
## Split R-hat values satisfactory all parameters.
## 
## Processing complete, no problems detected.

stan_modelname <- "freqmodel_hier_subset"
stanfit_prefix <- str_c("fit_", stan_modelname) 

stan_data_lst <- training_stats_tbl %>%
  compose_data(
    mean_p1   = 1,
    mean_p2   = 3,

    cov_p1    = 2,
    cov_p2    = 2
    )

freqmodel_hier_subset_stanfit <- freqmodel_hier_stanmodel$sample(
  data            =                stan_data_lst,
  chains          =                            4,
  iter_warmup     =                          500,
  iter_sampling   =                          500,
  seed            =                         4210,
  output_dir      =                stan_modeldir,
  output_basename =               stanfit_prefix
  )

## Running MCMC with 4 parallel chains...
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## 
## All 4 chains finished successfully.
## Mean chain execution time: 188.2 seconds.
## Total execution time: 192.0 seconds.

freqmodel_hier_subset_stanfit$summary()

## # A tibble: 20,005 × 10
##    variable         mean      median       sd      mad            q5         q95  rhat ess_bulk ess_tail
##    <chr>           <dbl>       <dbl>    <dbl>    <dbl>         <dbl>       <dbl> <dbl>    <dbl>    <dbl>
##  1 lp__      -38216.     -38215.     76.5     79.2     -38342.       -38092.      1.00     566.     950.
##  2 hier_mean      0.252       0.252   0.00269  0.00271      0.248         0.257   1.00    2950.    1453.
##  3 hier_cov       0.998       0.998   0.00786  0.00751      0.985         1.01    1.01    1192.    1407.
##  4 lambda[1]      0.139       0.130   0.0567   0.0533       0.0608        0.244   1.00    2719.    1186.
##  5 lambda[2]      0.139       0.130   0.0586   0.0561       0.0596        0.249   1.00    2611.    1167.
##  6 lambda[3]      1.38        1.37    0.179    0.177        1.09          1.69    1.00    2814.    1178.
##  7 lambda[4]      0.0234      0.0159  0.0237   0.0168       0.000964      0.0701  1.00    1751.     874.
##  8 lambda[5]      0.190       0.182   0.0670   0.0643       0.0922        0.312   1.01    2727.    1122.
##  9 lambda[6]      0.0481      0.0411  0.0326   0.0277       0.00877       0.110   1.01    2597.     794.
## 10 lambda[7]      0.746       0.738   0.126    0.117        0.544         0.964   1.00    3474.    1400.
## # … with 19,995 more rows

freqmodel_hier_subset_stanfit$cmdstan_diagnose()

## Processing csv files: /home/rstudio/workshop/stan_models/fit_freqmodel_hier_subset-1.csv, /home/rstudio/workshop/stan_models/fit_freqmodel_hier_subset-2.csv, /home/rstudio/workshop/stan_models/fit_freqmodel_hier_subset-3.csv, /home/rstudio/workshop/stan_models/fit_freqmodel_hier_subset-4.csv
## 
## Checking sampler transitions treedepth.
## Treedepth satisfactory for all transitions.
## 
## Checking sampler transitions for divergences.
## No divergent transitions found.
## 
## Checking E-BFMI - sampler transitions HMC potential energy.
## E-BFMI satisfactory.
## 
## Effective sample size satisfactory.
## 
## Split R-hat values satisfactory all parameters.
## 
## Processing complete, no problems detected.

fit_comparison_tbl <- list(
    `Flat Prior`     = freqmodel_flat_subset_stanfit,
    `Gamma(0.25, 1)` = freqmodel_prior_subset_stanfit,
    `Gamma(1, 4)`    = freqmodel_prior_2_subset_stanfit,
    `Hierarchical`   = freqmodel_hier_subset_stanfit
    ) %>%
  enframe(name = "model_label", value = "stanfit") %>%
  mutate(
    valid_data = map(
      stanfit, validate_frequency_model,
      input_data_tbl = input_validation_tbl
      )
    )

fit_comparison_tbl %>% glimpse()  

## Rows: 4
## Columns: 3
## $ model_label <chr> "Flat Prior", "Gamma(0.25, 1)", "Gamma(1, 4)", "Hierarchic…
## $ stanfit     <list> <<CmdStanMCMC>
##   Inherits from: <CmdStanFit>
##   Public:
##     c…
## $ valid_data  <list> [<tbl_df[20000000 x 6]>], [<tbl_df[20000000 x 6]>], [<tbl…

validation_data_tbl <- fit_comparison_tbl %>%
  select(model_label, valid_data) %>%
  unnest(valid_data)

validation_data_tbl %>% glimpse()

## Rows: 80,000,000
## Columns: 7
## $ model_label     <chr> "Flat Prior", "Flat Prior", "Flat Prior", "Flat Prior"…
## $ customer_id     <chr> "0010G0VY0J", "0010G0VY0J", "0010G0VY0J", "0010G0VY0J"…
## $ draw_id         <int> 1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16,…
## $ customer_lambda <dbl> 0.2207705, 0.2207705, 0.2207705, 0.2207705, 0.2207705,…
## $ post_lambda     <dbl> 0.2839830, 0.1164000, 0.1570210, 0.1270920, 0.1842610,…
## $ pred_count      <int> 5, 0, 1, 6, 2, 3, 3, 1, 3, 0, 4, 7, 2, 2, 1, 1, 0, 1, …
## $ obs_count       <int> 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, …

valid_lambda_tbl <- validation_data_tbl %>%
  calculate_distribution_qvals(post_lambda, customer_lambda, model_label, customer_id)

ggplot(valid_lambda_tbl) +
  geom_histogram(aes(x = q_val), bins = 50) +
  geom_hline(aes(yintercept = 200), colour = "red") +
  facet_wrap(vars(model_label), ncol = 1) +
  labs(
    x = "Quantile",
    y = "Count",
    title = "Comparison Histogram of q-vals for Lambda"
  )

valid_count_tbl <- validation_data_tbl %>%
  calculate_distribution_qvals(pred_count, obs_count, model_label, customer_id)

ggplot(valid_count_tbl) +
  geom_histogram(aes(x = q_val), bins = 50) +
  geom_hline(aes(yintercept = 200), colour = "red") +
  facet_wrap(vars(model_label), ncol = 1) +
  labs(
    x = "Quantile",
    y = "Count",
    title = "Comparison Histogram of q-vals for Count"
  )